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Reading the recent monetary history of the U.S., 1959-2007

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  • Jesus Fernández-Villaverde
  • Pablo Guerrón-Quintana
  • Juan F. Rubio-Ramírez.

Abstract

The authors report the results of the estimation of a rich dynamic stochastic general equilibrium model of the U.S. economy with both stochastic volatility and parameter drifting in the Taylor rule. They use the results of this estimation to examine the recent monetary history of the U.S. and to interpret, through this lens, the sources of the rise and fall of the great American inflation from the late 1960s to the early 1980s and of the great moderation of business cycle fluctuations between 1984 and 2007.

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File URL: http://www.philadelphiafed.org/research-and-data/publications/working-papers/2010/wp10-15.pdf
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Bibliographic Info

Paper provided by Federal Reserve Bank of Philadelphia in its series Working Papers with number 10-15.

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Date of creation: 2010
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Handle: RePEc:fip:fedpwp:10-15

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Keywords: Economic conditions - United States ; Business cycles - Econometric models ; Econometric models ; Monetary policy - United States;

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  1. Alejandro Justiniano & Giorgio E. Primiceri, 2006. "The Time Varying Volatility of Macroeconomic Fluctuations," NBER Working Papers 12022, National Bureau of Economic Research, Inc.
  2. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, December.
  3. Burton A. Abrams, 2006. "How Richard Nixon Pressured Arthur Burns: Evidence from the Nixon Tapes," Working Papers 06-04, University of Delaware, Department of Economics.
  4. Robert Wright, 2009. "Inside the Fed: monetary policy and its management, Martin through Greenspan to Bernanke," Business History, Taylor & Francis Journals, vol. 51(5), pages 797-799.
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Cited by:
  1. Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A. & Rubio-Ramírez, Juan Francisco, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," CEPR Discussion Papers 7813, C.E.P.R. Discussion Papers.
  2. Sergey Ivashchenko, 2014. "Forecasting In a Non-Linear DSGE Model," EUSP Deparment of Economics Working Paper Series Ec-02/14, European University at St. Petersburg, Department of Economics.
  3. Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," NBER Working Papers 16618, National Bureau of Economic Research, Inc.

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